开放式基金投资组合重叠的网络效应研究

Network Effect of Open-end Fund Portfolio Overlap

以2007年第1季度至2016年第2季度普通股票型开放式基金和偏股混合型开放式基金为研究样本,构建有向加权的投资组合重叠网络,并在要素分析模型和Fama-French五因子模型中引入网络效应,分析投资组合重叠的网络效应及其对基金的资金流动和收益影响。研究发现,投资组合重叠的网络结构表现出跨期的逆向调整,与其溢出效应形成了维持基金资金流动和业绩稳定的"均衡机制"。研究结果提高了市场因子模型对基金超额收益的解释能力,有利于人们更好地认识理解基金等金融机构的市场行为。因此,建议监管当局对开放式基金投资范围进行合理限制,以帮助开放式基金稳定其经营业绩和防范金融市场的系统性风险。

Taking common stock open funds and stock-oriented mixed open funds from the 1^st quarter of 2007 to the 2^nd quarter of 2016 as the research sample,this study constructs a directionally weighted investment portfolio overlapping network,and introduces the network effect to its factor analysis model and Fama-French five-factor model.The aim is to analyze the network effect in investment portfolio overlaps and its influence on the capital liquidity and profitability of the funds.The study finds that investment portfolio overlapping network structures exhibit intertemporal reverse adjustment,which together with their spillover effects,form "equilibrium mechanisms" that maintain the capital liquidity and performance stability of funds.The results of this study improve the explanatory power of market factor models with regard to excess returns on funds,and help to better identify and understand the market behaviors of financial organizations,such as funds.As such,we suggest that oversight and regulatory bodies establish reasonable restrictions on the scope of investment for open funds in order to help open funds stabilize their operational performance and to avoid systematic risk in the financial markets.